Search found 9 matches

by jasonz
Thu Jan 08, 2009 3:36 pm
Forum: Money Management
Topic: Dynamic Portfolio Balancing Project
Replies: 6
Views: 7332

Just posting to say thanks for your posts and I'm interested in following what you are doing.
by jasonz
Thu Jan 08, 2009 3:00 pm
Forum: Testing and Simulation
Topic: Simulating volatility
Replies: 4
Views: 3379

Re: Simulating volatility

For the purpose of creating synthetic price series, can anyone suggest algorithms that replicate the volatility clustering that real price series display? I picked up and flicked through Mandelbrot's book on the markets today at lunchtime. GARCH is a generalised model for generating clustered and t...
by jasonz
Thu Oct 02, 2008 12:20 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 29685

sluggo, I believe my coefficient of correlation is bigger than your coefficient of correlation! :wink: I don't have any futures data to hand, but your sample data is quite narrowly a bound agricultural contract. What would be a little more interesting is to examine something such as oil contracts fo...
by jasonz
Tue Sep 30, 2008 8:31 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 29685

Ok, I get what you are saying sluggo. And from what I see on these forums you are a successful and profitable trader, so I am just putting this as food for thought and am not meaning to correct anyone's thinking - rather point out a mathematical fact which I had been fighting with for quite a while,...
by jasonz
Tue Sep 30, 2008 5:34 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 29685

Have u heard of the the saying (what goes up must come down)Known in the trading world as cycles. Futures never go much higher than the last high simply because theres more money in the markets,but it still needs to cycle back down. Fundmentals,no thanks,,,the USD has weakened over the last few yrs...
by jasonz
Tue Sep 30, 2008 6:04 am
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 29685

Re: The short side and trend following

I haven't been super creative, but I've yet to find a traditional trend following or breakout system that has any edge at all on the short side using data back to 1984 for 60+ markets (aggregate portfolio). Comments? I have a specific theory on this. Long term trend following is looking to typicall...
by jasonz
Tue Apr 17, 2007 5:39 am
Forum: Money Management
Topic: How to actively adjust the portfolio?
Replies: 11
Views: 14035

The issue of portfolio rebalancing comes up both in the dynamic hedging/replication of options (via deltas), and the theoretical study of optimal portfolio weights (Markovitz, correlations, efficient frontier, etc). Uniformly practitioners in finance agree that periodic rebalancing is sufficient and...
by jasonz
Sun Apr 15, 2007 3:36 pm
Forum: Testing and Simulation
Topic: Log normal returns of financial instruments and lack of...
Replies: 2
Views: 3345

A simpler way of expressing it is to say that one leverages up as an asset price increases, and one leverages down as it decreases. Implicitly this is due to traversal being approximately a log-normally distributed process, instead of a normally distributed process, however to talk of it in simpler ...
by jasonz
Sun Apr 15, 2007 3:02 pm
Forum: Testing and Simulation
Topic: Log normal returns of financial instruments and lack of...
Replies: 2
Views: 3345

Log normal returns of financial instruments and lack of...

(...lack of symmetry of profitability of long vs short entries) Hi all, I'm pleased to be a new member of the boards. So by way of saying hello I will give you some background on myself. I guess I've been interested in trading systems since around 1993 when I worked for a Reuters subsidiary in Sydne...